Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [fix]

The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions and markets.

The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions and markets. FIX has become the language of the global financial markets used extensively by buy and sell-side firms, trading platforms and even regulators to communicate trade information. This non-proprietary, free and open standard is constantly being developed to support evolving business and regulatory needs, and is used by thousands of firms every day to complete millions of transactions.

38 questions
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How fast is QuickFix ?

In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that QuickFix is not enough fast and obviously we will not…
ali_bahoo
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Logging FIX Messages

I need to persist every single FIX message received or sent by my order gateway for auditing purposes, however it takes more than 1 millisecond to write the bytes to disk. I tried to write in chunks of 64k but that did not help either. Was wondering…
Alfred Wilkings
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Why is TransactTime not required on ExecutionReports?

A couple of my brokers are not sending tag 60(TransactTime) on Canceled messages. What is the rule of thumb for determining cancel time when tag 60 is absent from a Canceled message? Canceled message as in 35=8 150=4. Why is tag 60(TransactTime)…
ÆtherSurfer
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Multicasting with FIX

I have a scenario in which a FIX server will send to multiple clients. I have found examples in which this is done by sending to each session round-robin fashion however, is there any facility in FIX that allows what might be called multicasting?…
Andrew
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Understanding the content of FIX market data snapshot messages

I am currently working on a research project involving FIX market data snapshot messages. Because I do not have any real-world trading experience, I have some difficulties understanding the exact meaning of the messages and some fields. I already…
m.straessle
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FIX field for maker orders

I'm unsure if this question is fit for this particular Q&A board. Please direct me otherwise. Is there a prescribed field in FIX for new order messages (NewOrderSingle et al) which indicates willingness to participate in a trade only as a maker (or…
alecov
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FIX/FAST to SQL table

I have FIX/FAST data in CSV format. Sample: 1128=9|9=131|35=f|49=CME|34=5369745|52=20160314214500017847063|60=20160314214500001317818|75=20160315..... I need to transfer information into SQL table with tags as names of the fields and values as…
JJLee
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